Investment Management
Investment Management
Investment Management
Set of flashcards Details
| Flashcards | 89 |
|---|---|
| Language | English |
| Category | Finance |
| Level | University |
| Created / Updated | 03.04.2018 / 04.06.2022 |
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IR divides the alpha of the portfolio by the nonsystematic risk of the portfolio. It measures abnormal return per unit of risk, that in theory could be diversified away by holding a market index portfolio.
Measures an adjusted portfolio with the same SD as the benchmark portfolio.
Hypothetical portfolio that combines the portfolio with a position in T-Bills so as to match the beta of the market index.
Different risk adjusted procedures can yield distinct implications for performance evaluation, hence one must choose the most appropriate measure for the risk; P is the entire portfolio then use sharpe; P is diversified, non-systemmatic risk is negligible and the appropriate metric is Treynors, it weighs excess returns aginst systematic risk.
They assume that the risk is constant; Sharpe ratio does not account for a change in beta of the portfolio
Market timing invoves shifting fully funds between a market index portfolio and a safe asset. In practice only beta will be increased.
Idea is to regress fund returns on indexes representing a range of asset classes, result will implicit the fund's style. R^2 measures the variability due to the style.
Decomposing overall performacne into discrete components that relate to particular levels of the portfolio selection process.
If the coupon rate is equal to the YTM and the bond price is equal to the face value.
